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1、企业信用评级调整与风险信息披露质量的影响效应研究摘 要风险信息披露是行为金融学的重要内容之一，也是市场参与者进行投资决策时所要考察的重点信息。证监会自2007年起就已要求上市公司强制披露风险信息，随后在2012年及2014年对年度报告的内容与格式不断修订并完善，对风险信息披露的要求日益强化。风险信息作为非财务信息的重要组成部分，披露的本意就是让企业利益相关者能够了解当下或未来面临的风险因素，然而现实中，由于信息不对称，风险信息披露具有很强的自主性，企业的风险信息披露质量不尽如人意。因此，本文首先分析了企业的风险信息披露质量，同时从信用评级机构这一重要的外部信息中介出发，考察风险信息披露质量的影
2、响因素，从而为更好地发挥风险信息披露的价值提供依据。本文首先借助企业年报数据中“管理层讨论与分析”披露的风险信息，分析我国上市公司的风险信息披露质量，在相关文献的基础上，对企业风险信息披露质量进行指标体系的构建。通过提取关键词进行词频统计，测算企业风险信息披露频率；基于文本向量化方法，利用python对本文信息进行向量化处理用于测算风险信息含量；利用偏最小二乘法、组合预测法以及残差度量法对风险信息披露效率进行测算，最后对结果进行统计分析，为接下来的实证分析做准备。其次，利用多元回归模型从信用评级的不同调整方向入手，对我国上市公司的风险信息披露质量2007-2018年的数据进行实证分析，探究了企
3、业主体信用评级的不同调整方向对风险信息披露质量的影响效果及差异。同时，在此前实证研究的基础上引入分析师跟踪与评级机构竞争两个调节变量，探索外部信息中介对信用评级调整对风险信息披露质量作用的调节效应。此外，为探索在主体评级调整后，企业改变风险信息披露行为是否具有可行性，对风险信息披露质量与后续评级之间的关系进行了更深的挖掘。最后，基于信用评级调整可能对风险信息披露质量造成的负面影响以及信用中介对其产生的调节作用，本文从政府、企业和投资者三个层面提出了规范我国风险信息披露质量的针对性建议。本文得出的主要结论包括：企业风险信息披露质量可从风险信息披露频率、风险信息含量和风险信息披露效率三方面进行衡量
4、，由测算结果可知，企业风险信息披露质量整体水平较低且呈逐年下滑趋势。实证表明，企业信用评级下调，年报风险信息披露质量较低，信用评级上调，风险信息披露质量会随着风险信息含量的提高而显著提升。分析师跟踪和评级机构的竞争都会削弱信用评级下调与企业风险信息披露质量间的负向关系，但只有分析师跟踪能进一步增强信用评级上调对风险信息含量的正向影响。此外，当信用评级被调低时，管理层改变风险信息披露的自利行为多数情况下会奏效，评级机构在后期的确会给予较高的信用评级，但企业的这种行为会在信用评级下调幅度较大时有所收敛并失效。关键词：信用评级调整 风险信息披露质量 分析师跟踪 评级机构竞争Research on t
5、he Effect of Corporate Credit Rating Adjustment and the Quality of Risk Information Disclosure AbstractRisk information disclosure is one of the important contents of behavioral finance, and it is also the key information that market participants need to investigate when making investment decisions.
6、 Since 2007, China Securities Regulatory Commission has required listed companies to disclose risk information compulsorily. Subsequently, in 2012 and 2014, the Annual Report Content and Format has been continuously revised and improved, and the requirements for risk information disclosure have been
7、 increasingly strengthened. Risk information is an important part of non-financial information. The original intention of disclosure is to help business stakeholders to understand the current or future risk factors. However, due to information asymmetry, risk information disclosure has a strong sens
8、e of autonomy. The quality of risk information disclosure is not satisfactory. Therefore, this article analyzes the enterprises risk information disclosure quality firstly , at the same time, investigating the influencing factors of risk information disclosure quality from the credit rating agency,
9、an important external information intermediary, so as to provide a basis for exerting the value of risk information disclosure.Firstly, this article analyzes the risk information disclosure quality of listed companies of our country with the help of the risk information disclosed in the management d
10、iscussion and analysis in the corporate annual report data. On the basis of relevant literature, this paper constructs an indicator system for the quality of corporate risk information disclosure. Calculate the frequency of corporate risk information disclosure by extracting keywords for word freque
11、ncy statistics; based on the text vectorization method, the research in this paper use python to vectorize the information in this article to measure the risk information content; using partial least squares, combination forecasting and residual measurement method to measure the efficiency of risk i
12、nformation disclosure. Finally, this paper analyzes results to prepare for the following empirical analysis. Secondly, from the different adjustment directions of credit ratings, this paper begins to use the multiple regression model to analyze the data of the quality of risk information disclosure
13、in listed companies in China from 2007 to 2018 in order to explore the impact and difference of different adjustment directions of the credit ratings on the quality of risk information disclosure. At the same time, on the basis of previous empirical research, the two regulatory variables of analyst
14、tracking and competition among rating agencies are introduced to explore the moderating effect of external information intermediaries on credit rating adjustments on the quality of risk information disclosure. In addition, in order to explore whether it is feasible for companies to change risk infor
15、mation disclosure behaviors after the adjustment of the companies credit rating, this paper explores the relationship between the quality of risk information disclosure and subsequent ratings deeply. Finally, based on the possible negative effects of credit rating adjustments on the quality of risk
16、information disclosure and the regulatory role of credit intermediaries, this paper proposes targeted suggestions for regulating the quality of risk information disclosure in our country from the three levels of government, enterprises and investors.The main conclusions of this paper include: the quality of corporate risk information disclosure can be measured by three aspects: risk information disclosure frequency, risk information content and risk information disc
